Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Nov 27 (1D) | Nov 28 (2D) | Dec 01 (5D) | Dec 02 (6D) | Dec 03 (7D) | Dec 04 (8D) | Dec 05 (9D) | Dec 08 (12D) | Dec 09 (13D) | Dec 10 (14D) | Dec 12 (16D) | Dec 19 (23D) | Dec 26 (30D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 673.595 | 671.066 | 666.049 | 664.746 | 663.548 | 662.432 | 661.385 | 658.552 | 657.688 | 656.857 | 655.28 | 650.421 | 646.261 |
| upper | 685.805 | 688.334 | 693.351 | 694.654 | 695.852 | 696.968 | 698.015 | 700.848 | 701.712 | 702.543 | 704.12 | 708.979 | 713.139 |
| expected move | 6.105 | 8.634 | 13.651 | 14.954 | 16.152 | 17.268 | 18.315 | 21.148 | 22.012 | 22.843 | 24.42 | 29.279 | 33.439 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
